[Breaking] Require format to be specified in input URI. (#9077)

Previously, we use `libsvm` as default when format is not specified. However, the dmlc
data parser is not particularly robust against errors, and the most common type of error
is undefined format.

Along with which, we will recommend users to use other data loader instead. We will
continue the maintenance of the parsers as it's currently used for many internal tests
including federated learning.

tests/python/test_dmatrix.py

@@ -283,7 +283,7 @@ class TestDMatrix:
             assert m0.feature_types == m1.feature_types
 
     def test_get_info(self):
-        dtrain = xgb.DMatrix(dpath + 'agaricus.txt.train')
+        dtrain, _ = tm.load_agaricus(__file__)
         dtrain.get_float_info('label')
         dtrain.get_float_info('weight')
         dtrain.get_float_info('base_margin')
@@ -432,7 +432,9 @@ class TestDMatrix:
     def test_uri_categorical(self):
         path = os.path.join(dpath, 'agaricus.txt.train')
         feature_types = ["q"] * 5 + ["c"] + ["q"] * 120
-        Xy = xgb.DMatrix(path + "?indexing_mode=1", feature_types=feature_types)
+        Xy = xgb.DMatrix(
+            path + "?indexing_mode=1&format=libsvm", feature_types=feature_types
+        )
         np.testing.assert_equal(np.array(Xy.feature_types), np.array(feature_types))
 
     def test_base_margin(self):